CDS Spreads Determinants of the European Financial Institutions

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00077144" target="_blank" >RIV/00216224:14560/14:00077144 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
CDS Spreads Determinants of the European Financial Institutions
Original language description
Credit default swap spreads can reflect the potential situation, resp. financial health of a company, and also are considered as a measure of credit risk and as a leading indicator of the future development of company's creditworthiness. Investors shouldpay attention to the factors that can affect credit default swap spreads. The aim of this study is to find out which determinants had the influence on the spreads of credit default swaps issued on the debt of the European financial reference entities. Panel data regression is employed in order to explore the influence of selected determinants in the pre-crisis, crisis and post-crisis period within individual rating groups. The theoretical factors at companies' level and market determinants are taken into consideration. In most of the cases, the results are consistent with theoretical assumptions, but explanatory power of determinants varied across time and rating categories.
Czech name
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Czech description
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Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 11th International Scientific Conference European Financial Systems 2014
ISBN
9788021071537
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
300-306
Publisher name
Masaryk University
Place of publication
Brno
Event location
Lednice
Event date
Jan 1, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000350701500040

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